Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 7 10 7
Score -2.81 -0.76 -3.31
Market Cap (Millions USD) 12831.85 11386.85 12431.34
Predicted Beta 0.46 0.47 0.49
Idiosyncratic Volatility 1.57 1.86 2.38

Annualized return and volatility

EWJ
Annualized Return 0.0106
Annualized Std Dev 0.2184
Annualized Sharpe (Rf=0%) 0.0484

Row

Daily Return Statistics

EWJ
Observations 5112.0000
NAs 2.0000
Minimum -0.1041
Quartile 1 -0.0068
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0073
Maximum 0.1582
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0138
Skewness 0.2305
Kurtosis 8.2168

Downside Risk

EWJ
Semi Deviation 0.0097
Gain Deviation 0.0098
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0146
Downside Deviation (Rf=0%) 0.0097
Downside Deviation (0%) 0.0097
Maximum Drawdown 0.5889
Historical VaR (95%) -0.0215
Historical ES (95%) -0.0320
Modified VaR (95%) -0.0193
Modified ES (95%) -0.0218
From Trough To Depth Length To Trough Recovery
2000-04-03 2003-04-25 2006-05-02 -0.5889 1554 782 772
2006-05-10 2009-03-09 2017-05-30 -0.5445 2831 727 2104
2018-01-29 2018-12-24 NA -0.2286 490 233 NA
2000-01-04 2000-03-13 2000-03-31 -0.1236 62 48 14
2017-11-09 2017-11-15 2017-11-24 -0.0323 11 5 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWJ
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 0.0 2.1 0.0 2.0 1.3 0.0 0.9 0.9 0.0 -0.5 3.2 0.0 10.3
2001 0.4 -1.3 0.0 2.4 -0.6 0.0 1.8 0.0 -0.6 1.3 0.0 0.0 3.3
2002 -1.3 4.4 -3.3 0.7 0.0 -1.2 -2.4 0.0 0.7 1.9 0.0 0.0 -0.7
2003 0.0 0.0 1.2 0.3 0.0 2.6 -1.2 0.0 4.1 0.0 3.0 0.0 10.4
2004 0.0 3.1 1.1 0.0 -0.6 -1.8 0.0 -0.2 2.3 -0.3 1.4 0.0 4.9
2005 0.6 0.7 -0.3 0.0 0.6 0.0 0.9 0.9 0.0 1.0 2.3 0.0 6.9
2006 -0.3 0.9 0.0 0.3 0.4 0.0 -1.5 0.9 0.0 -0.4 0.1 0.0 0.4
2007 1.3 -0.5 0.0 0.0 0.5 0.0 -0.8 0.0 1.1 -1.3 0.0 0.0 0.5
2008 0.9 0.0 2.9 0.9 0.0 0.4 -1.4 0.0 -1.2 0.0 -5.8 0.0 -3.5
2009 0.0 0.0 2.9 1.5 1.6 1.2 0.0 -1.5 -2.5 0.0 3.5 0.0 6.7
2010 1.0 1.0 1.5 0.0 -0.3 0.3 0.0 2.8 0.2 -1.0 2.0 0.0 7.8
2011 2.0 -0.2 -0.2 0.0 -1.3 0.9 -0.9 -0.9 0.0 -1.3 -1.4 0.0 -3.3
2012 0.6 0.6 0.0 -1.0 -2.7 0.0 -0.3 0.0 -0.3 1.0 0.0 0.0 -2.2
2013 -0.3 1.0 -3.9 -1.1 0.0 1.2 2.8 0.0 -0.4 -1.1 0.0 0.0 -1.9
2014 0.0 0.0 0.3 1.3 0.0 1.7 -0.1 0.0 -1.6 0.0 0.5 0.0 2.1
2015 0.0 0.0 0.4 1.2 0.5 0.7 0.0 -4.5 0.7 0.0 1.5 0.0 0.4
2016 -0.6 2.5 -2.5 0.0 -0.1 -0.2 0.3 0.7 0.0 -0.4 -0.8 0.0 -1.1
2017 0.5 1.2 0.0 0.4 0.9 0.0 0.6 -0.4 0.0 0.6 -0.5 0.0 3.3
2018 0.5 -2.9 0.0 -0.1 0.7 0.0 0.6 0.0 0.7 -0.2 0.0 0.0 -0.8
2019 -0.4 0.3 1.3 -0.3 0.0 1.4 0.0 0.0 -0.4 1.0 0.0 -0.4 2.4

Row

Rolling Performance Chart

Snail Trail Chart